Since the introduction of the Autoregressive Conditional Heteroscedasticity (ARCH) model,
the literature on modeling the time‐varying second‐order conditional moment has become …

This paper calibrates risk assessment of alternative methods for modeling commodity ETFs.
We implement recently proposed backtesting techniques for both value-at-risk (VaR) and …

This paper proposes new risk measures by accurately estimating the components of
solvency risk and focusing on prudential policy implementation. We use semi …

Based on derivatives of a Gaussian density, the Gram–Charlier series is an infinite
expansion. Its truncated series is often used in many fields to approximate probability …

This paper proposes a new model to estimate the countercyclical bank solvency capital
buffer established in Basel III. The model lies in a flexible semi-nonparametric approach to …

Theories of interpreting polymer physics and rheology at the molecular level from
experiments, including small-angle scattering, typically rely on the assumption that polymer …

Research productivity distributions exhibit heavy tails because it is common for a few
researchers to accumulate the majority of the top publications and their corresponding …

In this paper, we develop a new model, the Realized GARCH-RSRK, to determine the time-
varying distribution of financial returns with realized higher moments. Based on Gram …

This paper analyses risk quantification for three main stock market index exchange‐traded
funds in world financial markets. We compare the relative performance of a set of parametric …

Highly volatile scenarios, such as those provoked by the recent subprime and sovereign
debt crises, have questioned the accuracy of current risk forecasting methods. This paper …